Banking Risk Exposure

In this paper we model banking risk exposure in a non-linear VAR framework. We included banking aggregates such as write-offs, provisions expenses, and total loans. Overall fitting of the model is good for chilean data. In and out sample forecasts are better than a simple ARIMA model. Given this we consider that the model provides a good input for stress testing analysis of Chilean banking system.

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Year of publication:	2008-11
Authors:	Alfaro, Rodrigo ; Calvo, Daniel ; Oda, Daniel
Institutions:	Banco Central de Chile

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Extent:	application/pdf
Series:	Working Papers Central Bank of Chile.
Type of publication:	Book / Working Paper
Language:	Spanish
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005738109